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Summary

Designed to arm finance professionals with an understanding of why econometrics is necessary, this book also provides them with a working knowledge of basic econometric tools. The fourth edition has been thoroughly updated to reflect the current state of economic and financial markets. New discussions are presented on Kennel Density Fitting and the analysis of treatment effects. A new summary of probability and statistics has been added. In addition, numerous new end-of-chapter questions and problems have been integrated throughout the chapters. This will help finance professionals apply basic econometric tools to modeling, estimation, inference, and forecasting through real world problems.

Table of Contents

An Introduction to Econometrics

A Probability Primer

The Simple Linear Regression Model

Interval Estimation and Hypothesis Testing

Prediction, Goodness-of-Fit and Modeling Issues

The Multiple Regression Model

Further Inference in the Multiple Regression Model

Using Indicator Variables

Heteroskedasticity

Regression with Time Series Data: Stationary Variables

Random Regressors and Moment Based Estimation

Simultaneous Equations Models

Regression with Time Series Data: Nonstationary Variables

Vector Error Correction and Vector Autoregressive Models

Time-Varying Volatility and ARCH Models

Panel Data Models

Qualitative and Limited Dependent Variable Models

Mathematical Tools

Probability Concepts

Review of Statistical Inference

Table of Contents provided by Publisher. All Rights Reserved.

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Customer Reviews

Very good for learningMarch 31, 2011

by Markus

The "Principles of Econometrics" is very good textbook. This textbook should read students which starting learn econometric and people which need to know something more about econometric. Also this textbook has got more advanced subject, which are very easy explain. Good point of this textbook is the access to PDF examples which is possible check in the GRETL application. Also, on website of book you find data in excel files.

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Principles of Econometrics, 4th Edition: 4 out of 5 stars based on 1 user reviews.